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A Cointegration Analysis of Wool Prices

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  • Chang, Hui-Shung (Christie)

Abstract

Based on cointegration analysis and monthly data from 1976.8 to 1999.10, a long-run equilibrium relationship was found to exist between prices for wools of 19 to 23 microns, despite the wool Reserve Price Scheme operated until February 1991. Furthermore, the prices for 19, 20 and 21 micron wools were found to be weakly exogenous. The latter result suggested that, although co-integrated, prices for finer wools tended to be less volatile than coarser wools. The implications are that wool producers would enjoy more stable prices by producing finer wools and that cross-hedging is possible given co-movements of prices.

Suggested Citation

  • Chang, Hui-Shung (Christie), 2000. "A Cointegration Analysis of Wool Prices," Working Papers 12929, University of New England, School of Economics.
    • Handle: RePEc:ags:uneewp:12929
    DOI: 10.22004/ag.econ.12929
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    References listed on IDEAS

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    1. Bardsley, Peter, 1994. "The Collapse of the Australian Wool Reserve Price Scheme," Economic Journal, Royal Economic Society, vol. 104(426), pages 1087-1105, September.
    2. Bruce L. Gardner, 1975. "The Farm-Retail Price Spread in a Competitive Food Industry," American Journal of Agricultural Economics, Agricultural and Applied Economics Association, vol. 57(3), pages 399-409.
    3. Stephen Beare & Helen Meshios, 1990. "Substitution Between Wools Of Different Fibre Diameter," Australian Journal of Agricultural and Resource Economics, Australian Agricultural and Resource Economics Society, vol. 34(1), pages 56-66, April.
    4. Myers, Robert J., 1994. "Time Series Econometrics and Commodity Price Analysis: A Review," Review of Marketing and Agricultural Economics, Australian Agricultural and Resource Economics Society, vol. 62(02), pages 1-15, August.
    5. Beare, Stephen & Meshios, Helen, 1990. "Substitution Between Wools Of Different Fibre Diameter," Australian Journal of Agricultural Economics, Australian Agricultural and Resource Economics Society, vol. 34(01), pages 1-11, April.
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    1. Nolan, Elizabeth & Farrell, Terence & Ryan, Madeleine & Gibbon, Candice & Ahmadi-Esfahani, Fredoun Z., . "Valuing quality attributes of Australian merino wool," Australian Journal of Agricultural and Resource Economics, Australian Agricultural and Resource Economics Society, vol. 58(3).

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